MAINT: Limit perspective offset.

Limit the perspective offset to 1. There is a possibility that if a
consumer of the AdjustedArrayWindow does not fetch adjustments between
the end of the data window and the vantage points beyond the end of the
window.

Until that case has a solution, e.g. having the consumer of the
AdjustedArrayWindow include the perspective offset when calculating the
query for adjustments, limit the offsets to 1.

tests/pipeline/test_adjusted_array.py

@@ -215,7 +215,7 @@ def _gen_multiplicative_adjustment_cases(dtype):
         adjustments,
         buffer_as_of,
         nrows,
-        perspective_offsets=(0, 1, 2, 1000),
+        perspective_offsets=(0, 1),
     )
 
 
@@ -318,7 +318,7 @@ def _gen_overwrite_adjustment_cases(dtype):
         adjustments,
         buffer_as_of,
         nrows=6,
-        perspective_offsets=(0, 1, 2, 1000),
+        perspective_offsets=(0, 1),
     )
 
 
@@ -421,7 +421,7 @@ def _gen_overwrite_1d_array_adjustment_case(dtype):
         adjustments,
         buffer_as_of,
         nrows=6,
-        perspective_offsets=(0, 1, 2, 1000),
+        perspective_offsets=(0, 1),
     )
 
 

zipline/lib/_windowtemplate.pxi

@@ -53,6 +53,15 @@ cdef class AdjustedArrayWindow:
         self.adjustment_indices = sorted(adjustments, reverse=True)
         self.window_length = window_length
         self.anchor = window_length + offset
+        if perspective_offset > 1:
+            # Limit perspective_offset to 1.
+            # To support an offset greater than 1, work must be done to
+            # ensure that adjustments are retrieved for the datetimes between
+            # the end of the window and the vantage point defined by the
+            # perspective offset.
+            raise Exception("perspective_offset should not exceed 1, value "
+                            "is perspective_offset={0}".format(
+                                perspective_offset))
         self.perspective_offset = perspective_offset
         self.next_anchor = self.anchor
         self.max_anchor = data.shape[0]